He wanted to say: Kate, don't you ever do a thing like that again.
He'd been a cop long enough to know that you don't go in without backup, no matter how smart and feminist and empowered you are. You communicate with your partner, you announce yourself as a Federal agent, maybe you even kick down the door which isn't just for show, it lets people know you mean business. You go sneaking off down the hall like that, which looks good on TV but is just plain stupid in real life, and you're lucky if the worst it gets you is held in a death grip by a naked Marine.
Tony wanted to say: Kate, this isn't the Secret Service. There are thieves and rapists and serial killers out here, this isn't Air Force One with the leather upholstery and catered lunches. They don't care who you are. People will hurt you, Kate, and you should really know better by now.
He could hear her response. I don't need you to protect me, DiNozzo. I'm a big girl, I can handle myself, I carry a gun and a badge. I wear a jockstrap.
Tony looked at the highway speeding past the car window. "Kate, don't you ever do a thing like that again," he whispered.
Kate sighed, hands tightening on the steering wheel. "What?"
"Never mind."